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Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered. It will be of interest to probability specialists, who will find here an uncomplicat...

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Bibliographic Details
Main Authors: Berzin, Corinne. (Author, http://id.loc.gov/vocabulary/relators/aut), Latour, Alain. (http://id.loc.gov/vocabulary/relators/aut), León, José R. (http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2014.
Edition:1st ed. 2014.
Series:Lecture Notes in Statistics, 216
Subjects:
Statistics .
Probabilities.
Computer simulation.
Statistical Theory and Methods.
Probability Theory and Stochastic Processes.
Simulation and Modeling.
Statistics for Business, Management, Economics, Finance, Insurance.
Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.
Online Access:https://doi.org/10.1007/978-3-319-07875-5
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https://doi.org/10.1007/978-3-319-07875-5

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